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Since this question was answered, some documentation has been created on the ORM at the magento knowledge base.
Introductory information: http://www.magentocommerce.com/knowledge-base/entry/magento-for-dev-part-5-magento-models-and-orm-basics
Advanced ORM usage and the EAV system: http://www.magentocommerce.com/knowledge-base/entry/magento-for-dev-part-7-advanced-orm-entity-attribute-value
Working with the Varien collections (lazy loading, filtering, etc…): http://www.magentocommerce.com/knowledge-base/entry/magento-for-dev-part-8-varien-data-collections
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While there isn’t much documentation on the ORM, here were a few pages that greatly helped in my understanding of the database structure which will help you understand everything else:
http://www.magentocommerce.com/wiki/development/magento_database_diagram
http://www.magentocommerce.com/boards/viewthread/7359/
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For the Magento ORM which is based off of Zend Framework’s Zend_Db_Adapter , you can use the Zend Framework Programmers Reference (Available as a free pdf on Zend Framework’s site ). I also found this link helpful for learning more about Magento models.